Parisian exchange options

DOI10.1080/14697680903194577zbMath1266.91099OpenAlexW2157954588MaRDI QIDQ5300445

Michael Suchanecki, An Chen

Publication date: 27 June 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903194577

zbMATH Keywords

exotic optionsParisian optionsexchange optionsParisian exchange options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (3)

On Parisian option pricing for uncertain currency model ⋮ Pricing down-and-out power options with exponentially curved barrier ⋮ The market pricing of the lifeboat provision in a closed-end fund

Cites Work

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• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• Employee stock option valuation with repricing features
• Brownian Excursions and Parisian Barrier Options
• Changes of numéraire, changes of probability measure and option pricing

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